Are the Log-Returns of Italian Open-End Mutual Funds Normally Distributed? A Risk Assessment Perspective

24 Pages Posted: 9 Jul 2014

Date Written: April 24, 2014

Abstract

In this paper we conduct an empirical analysis of daily log-returns of Italian open-end mutual funds and their respective benchmarks in the period from February 2007 to June 2013. First, we estimate the classical normal-based model on the log-returns of a large set of funds. Then we compare it with three models allowing for asymmetry and heavy tails. We empirically assess that both the value at risk and the average value at risk are model-dependent and we show that the difference between models should be taken into consideration in the evaluation of risk measures.

Keywords: open-end mutual funds, normal distribution, tempered stable distributions, value at risk, average value at risk

JEL Classification: C02, C46, G23

Suggested Citation

Bianchi, Michele Leonardo, Are the Log-Returns of Italian Open-End Mutual Funds Normally Distributed? A Risk Assessment Perspective (April 24, 2014). Bank of Italy Temi di Discussione (Working Paper) No. 957, Available at SSRN: https://ssrn.com/abstract=2463188 or http://dx.doi.org/10.2139/ssrn.2463188

Michele Leonardo Bianchi (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
00184 Rome, I - 00184
Italy

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